Journal
ANNALS OF OPERATIONS RESEARCH
Volume 100, Issue -, Pages 25-53Publisher
SPRINGER
DOI: 10.1023/A:1019206915174
Keywords
scenarios and scenario trees; clustering; importance sampling; matching moments; problem oriented requirements; inference and bounds
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A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.
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